for a Quantitative project in Asset Management, I need to obtain for each year -on a long period (20 years) - the different historical constituents and their prices on a monthly basis for a given stock index (S&P 500 or CAC 40). How should I proceed? I have try with Bloomberg but it's not possible since I don't have full access. I do have access to Datastream but I only manage to have the historical prices on a monthly basis for the current constituents of the Index.

Many thanks in advance!


This is very difficult. S&P actually wants you to pay for weightings that currently exist - they started charging for the weightings 8 years ago or so - used to be free.

Historical constituents seem like something you will have to pay S&P for - especially with all the quant traders out there who would love such info.

Happy to delete this answer if someone proves me wrong, but I expect you have to pay for this.

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    $\begingroup$ If you have Factset at your academic institution this data may be included, Factset pays S&P for this data. Even Bloomberg has to pay S&P on a subscriber by subscriber basis or the subscriber will not get it. $\endgroup$ – noob2 Mar 17 '17 at 19:56
  • $\begingroup$ Many thanks for your answer! I will try to see if I can get the data from Factset and I will tell you if I manage to do so. $\endgroup$ – Paul Manigault Mar 18 '17 at 17:45

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